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Scientific Committee
Comité scientifique René Carmona (Princeton University) |
Organizing Committee
Comité d’organisation Bruno Bouchard-Denize (CEREMADE – Université Paris-Dauphine) |
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This workshop will focus on the two areas of optimal transport and quasi-sure analysis and of machine learning, data science and high-dimensional optimisation, all within the context of mathematical finance. It brings together experts from mathematical finance and specialists of numerical methods for optimal transport problems and specialists of neural networks and optimisation techniques for AI applications. Some key goals are to understand the nature of recently obtained results in the latter areas, their connections to mathematical finance, and to discuss the directions that should be explored with priority in the future.
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Ce workshop portera principalement sur le domaine du transport optimal et de l’analyse quasi-sûre et sur celui de l’apprentissage automatique, de la science des données et de l’optimisation en grande dimension, le tout dans le contexte de la finance mathématique. Il rassemblera des experts en finance mathématique, des spécialistes des méthodes numériques pour les problèmes de transport optimaux, ainsi que des spécialistes des réseaux de neurones et des techniques d’optimisation pour les applications en intelligence artificielle. En particulier, nous chercherons à comprendre la nature des résultats récemment obtenus dans ces domaines, leurs liens avec la finance mathématique, et nous discuterons des thématiques qui pourraient être explorées en priorité à l’avenir.
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Eduardo Abi Jaber (Ecole Polytechnique) Reconciling rough volatility with jumps
Béatrice Acciaio (London School of Economics) Local volatility does not maximize the price of VIX futures
Daniel Bartl (University of Vienna) Adapted Wasserstein distance in finance and quantitative estimation
Mathias Beiglböck (University of Vienna) All adapted topologies are equal
Jean-David Benamou (INRIA Paris) Sinkhorn algorithm and stochastic mean-field games
Laurence Carassus (De Vinci Pôle univ et URCA) Risk-neutral pricing for Arbitrage Pricing Theory
René Carmona (Princeton University) Stochastic graphon games: the static case
Samuel Cohen (University of Oxford) Multi-armed bandits with uncertainty
Alexander Cox (University of Bath) The structure of optimal solutions to certain non-linear martingale optimal transport problems, and applications to VIX futures
Hadrien De March (École polytechnique) Numerical methods for optimal transport and application
Yan Dolinsky (Hebrew University) Cost minimization with stochastic target constraints
Samuel Drapeau (Shanghai Jiao Tong University) Computational aspects and sensitivity analysis of robust optimization problems
Roxana Dumitrescu (King’s College London) Mean-field games of optimal stopping: a relaxed solution approach
Marco Frittelli (Milano University) Systemic optimal risk transfer equilibrium
Miryana Grigorova (University of Leeds) Option pricing in a non-linear incomplete market model with default
Sebastian Jaimungal (University of Toronto) Latency and liquidity risk
Sigrid Källblad (KTH Royal Institute of Technology) Stochastic control of measure-valued martingales with applications to robust finance
Michael Kupper (University of Konstanz) Homogeneous martingale optimal transport
Martin Larsson (ETH Zürich) Controlled ODEs and generic universal interpolation in deep neural networks
Marcel Nutz (Columbia University) Climate change adaptation under heterogeneous beliefs
Huyen Pham (Université Paris Diderot) Markov decision processes with mean-field interaction under common noise, and application to targeted advertising
David Proemel (University of Oxford) Martingale optimal transport duality
Ludger Rüschendorf (University Freiburg) Comparison of stochastic processes by Markov projection and functional Ito calculus
Xiaolu Tan (Université Paris 9) On the dynamic programming principle of the McKean-Vlasov optimal control problem
Ludovic Tangpi (Princeton University) On backward propagation of chaos
Josef Teichmann (ETH Zürich) Representation of dynamical systems via random dynamical systems
Johannes Wiesel (Oxford University) Bounding quantiles of Wasserstein distance between true and empirical measure
Yuchong Zhang (University of Toronto) Conditional optimal stopping
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